This might help:
In the line of your script where you enter the command to run amsn, put an & after the command. This will force the program to run in the background, freeing up your shell to enter the 'exit' command, closing the window.
Alternatively, you should be able to make a link on your desktop (rightclick -- new launcher for Gnome, rightclick->Create New->Link to Application for KDE) thus relieving the need for a shell script.
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